Arbitrage in markets with bid-ask spreads. The fundamental theorem of asset pricing in finite discrete time markets with bid-ask spreads and a money account
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Publication:902181
DOI10.1007/s10436-015-0266-0zbMath1369.91203OpenAlexW2005582944WikidataQ59407392 ScholiaQ59407392MaRDI QIDQ902181
Publication date: 7 January 2016
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-015-0266-0
Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)
Related Items (6)
Benchmarking in two price financial markets ⋮ Discrete-time market models from the small investor point of view and the first fundamental-type theorem ⋮ A Complement to the Grigoriev Theorem for the Kabanov Model ⋮ Remarks on simple arbitrage on markets with bid and ask prices ⋮ Unnamed Item ⋮ Fundamental theorem of asset pricing under fixed and proportional transaction costs
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